Vice President, Quantitative Researcher - CIO Asset & Liability Management (ALM) in City of Westminster

Help shape how a global bank manages interest rate risk. In this role, you will build and support models that quantify balance sheet sensitivity to rate and volatility moves. You will partner closely with risk managers, Treasury stakeholders, and technology teams to deliver production-quality analytics that drive decisions. As a Vice President Quantitative Researcher in the Asset and Liability Management Quantitative Research team, you will build and support interest rate risk and pricing models on the firm's quantitative analytics platform, with a primary focus on deposits, callable instruments, municipal securities, swaptions, and linear rates. You will own the modeling of behavioral and optionality features across the banking book, calibrate the interest rate and volatility models that underpin our analytics, and ensure models meet internal risk and accounting requirements. You will partner closely with risk managers, Treasury stakeholders, technology, and model risk governance to deliver robust analytics with measurable business impact. This is a banking-book interest rate risk role focused on asset and liability management and structural rate exposure, not trading-desk margin or clearing. Job responsibilities

• Build and support banking-book interest rate risk and pricing models on the firm's quantitative analytics platform.
• Model deposits and other behavioral products, including optionality and prepayment/call behavior.
• Develop and enhance models for callable debt, callable preferred instruments, municipal securities, and insurance-related balance sheet products.
• Calibrate interest rate and volatility models used across the asset and liability management portfolio.
• Apply and extend existing quantitative libraries where appropriate, and build bespoke models when needed.
• Ensure models reflect internal risk measurement requirements and applicable accounting frameworks (including available-for-sale and hedge accounting).
• Serve as model owner/developer by managing documentation, controls, monitoring, and change management.
• Respond to model risk, audit, and regulatory reviews with clear explanations of assumptions and limitations.
• Deliver performant, production-quality analytics using strong engineering practices (testing, reproducibility, and continuous delivery).
• Communicate complex quantitative concepts clearly to non-technical stakeholders and drive alignment across partners.
• Provide technical leadership through code and method reviews and mentorship across the team.
• Advanced degree (PhD, MSc, or equivalent) in Mathematics, Physics, Statistics, Computer Science, or a related quantitative field.
• Demonstrated quantitative research/development experience in interest rate modeling, asset and liability management, or fixed-income derivatives, with production delivery experience.
• Hands-on experience developing on the Athena quant platform (hard requirement).
• Hands-on experience developing on the firm's strategic quantitative analytics platform.
• Strong knowledge of interest rate products and models, including linear rates, swaptions, callable products, curve construction, and volatility modeling.
• Understanding of banking-book interest rate risk and asset and liability management concepts.
• Strong Python programming skills, including building maintainable, testable, and performant quantitative code and applying numerical methods.
• Strong quantitative problem-solving skills, including the ability to decompose ambiguous problems and communicate uncertainty and trade-offs clearly.
• Strong communication and stakeholder management skills across quantitative, risk, Treasury, and technology partners.

Preferred qualifications, capabilities and skills

• Expertise in curve building (including multi-curve frameworks), volatility modeling and calibration (for example, SABR and short-rate models), and numerical methods (finite-difference methods and Monte Carlo).
• Experience modeling deposits and other behavioral products, callable debt, callable municipal securities, and insurance-related balance sheet products.
• Familiarity with hedge accounting and internal risk measurement frameworks relevant to asset and liability management.
• Experience with model risk governance and regulatory expectations for pricing and risk models.
• Familiarity with data tooling (SQL), performance engineering for large-scale simulations, and applied machine learning techniques in quantitative finance.

JPMorganChase, one of the oldest financial institutions, offers innovative financial solutions to millions of consumers, small businesses and many of the world's most prominent corporate, institutional and government clients under the J.P. Morgan and Chase brands. Our history spans over 200 years and today we are a leader in investment banking, consumer and small business banking, commercial banking, financial transaction processing and asset management. Our professionals in our Corporate Functions cover a diverse range of areas from finance and risk to human resources and marketing. Our corporate teams are an essential part of our company, ensuring that we're setting our businesses, clients, customers and employees up for success. We offer a competitive total rewards package including base salary determined based on the role, experience, skill set and location. Those in eligible roles may receive commission-based pay and/or discretionary incentive compensation, paid in the form of cash and/or forfeitable equity, awarded in recognition of individual achievements and contributions. We also offer a range of benefits and programs to meet employee needs, based on eligibility. These benefits include comprehensive health care coverage, on-site health and wellness centers, a retirement savings plan, backup childcare, tuition reimbursement, mental health support, financial coaching and more. Additional details about total compensation and benefits will be provided during the hiring process.